Unexpected execution of setTimeout Javascript

This is an error known as Closure inside a loop, the important thing to know is that it occurs when you create a function inside the for loop and use the iterator in the function

There are several ways to solve it. In ECMAScript 2015, you can use letin forand it works without problems ( letby var)

for(let i = 0; i<3; i++){  
     alert("Primero->"+i);

     setTimeout(function() {
        alert("Segundo->"+i);
     }, (i+1)*600);
}

Another option is to wrap the created function in an IIFE (self executable function).

for(var i = 0; i<3; i++){  
     alert("Primero->"+i);

     (function(i) { 
        setTimeout(function() {
           alert("Segundo->"+i);
        }, (i+1)*600) 
      })(i);
}

Finally, you can, as @Error404's answer says, use a function declared outside of the for

I need to use the index i in the alert. I don't understand very well the execution of setTimeout, and why it waits for the for to finish to start the execution.

The problem arises from the nature of javascript variables var(a feature, not a bug). These variables "live" in the lexical scope of the parent function. That is why it is solved with let(which moves the variable to the scope of the local function, in this case the for) and with the other methods that create a new function that hides the ioriginal variable.

You would need to pass a function as a callback to your setTimeout. Something similar to this:

for(var i = 0; i<3; i++){
     alert("Primero->" + i);
     setTimeout(muestraValores, (i+1)*600, i);
}

function muestraValores(i){
  alert("Segundo->" + i);
}

You should pass the parameters to it as the third argument so that it setTimeoutrespects the delay when executing the function.